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INVESTORS' DIFFERENTIAL RESPONSE TO MANAGED FUND PERFORMANCE

55 citations0/0 files storedThe Journal of Financial Research

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

Abstract

Abstract Several studies measuring the flow of monies into and out of U.S. mutual funds note a convexity in the performance‐flow relation and offer several explanations for the apparent investor insensitivity to poor performance. In this study investor response to past performance is measured in a different setting: the Australian wholesale funds market. The results confirm that, like the U.S. mutual fund investor, institutional investors in Australia react to recent performance. However, a similar response asymmetry is not detected in most tests. Evidence that small, young funds are potential drivers of the asymmetric response effect is also provided. JEL classification: G10, G14

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References

1957A Theory of Cognitive Dissonance 1998Costly Search and Mutual Fund Flows 1997Risk Taking by Mutual Funds as a Response to Incentives 1995Risk Taking by Mutual Funds as a Response to Incentives 1993Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 1992Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry 1995Performance Persistence 1992The Structure and Performance of the Money Management Industry

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